Correlation Between PIMCO Mortgage and JPMorgan International

Can any of the company-specific risk be diversified away by investing in both PIMCO Mortgage and JPMorgan International at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining PIMCO Mortgage and JPMorgan International into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between PIMCO Mortgage Backed Securities and JPMorgan International Growth, you can compare the effects of market volatilities on PIMCO Mortgage and JPMorgan International and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in PIMCO Mortgage with a short position of JPMorgan International. Check out your portfolio center. Please also check ongoing floating volatility patterns of PIMCO Mortgage and JPMorgan International.

Diversification Opportunities for PIMCO Mortgage and JPMorgan International

0.76

Correlation Coefficient

PIMCO Mortgage  JPMorgan International

Poor diversification

The 3 months correlation between PIMCO and JPMorgan is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO Mortgage Backed Securiti and JPMorgan International Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan International and PIMCO Mortgage is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on PIMCO Mortgage Backed Securities are associated (or correlated) with JPMorgan International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan International has no effect on the direction of PIMCO Mortgage i.e., PIMCO Mortgage and JPMorgan International go up and down completely randomly.

Pair Corralation between PIMCO Mortgage and JPMorgan International

Given the investment horizon of 90 days PIMCO Mortgage Backed Securities is expected to under-perform the JPMorgan International. But the etf apears to be less risky and, when comparing its historical volatility, PIMCO Mortgage Backed Securities is 2.2 times less risky than JPMorgan International. The etf trades about -0.02 of its potential returns per unit of risk. The JPMorgan International Growth is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  6,348  in JPMorgan International Growth on October 26, 2024 and sell it today you would earn a total of  152.00  from holding JPMorgan International Growth or generate 2.39% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	94.74%
Values	Daily Returns

PIMCO Mortgage Backed Securiti  vs.  JPMorgan International Growth

PIMCO Mortgage Backed

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PIMCO Mortgage Backed Securities has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable fundamental drivers, PIMCO Mortgage is not utilizing all of its potentials. The latest stock price uproar, may contribute to short-horizon losses for the private investors.

JPMorgan International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days JPMorgan International Growth has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable forward indicators, JPMorgan International is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with PIMCO Mortgage and JPMorgan International

The main advantage of trading using opposite PIMCO Mortgage and JPMorgan International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PIMCO Mortgage position performs unexpectedly, JPMorgan International can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in JPMorgan International will offset losses from the drop in JPMorgan International's long position.

The idea behind PIMCO Mortgage Backed Securities and JPMorgan International Growth pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.